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Moving to OKEx V5 API #638

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Sep 10, 2021
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Moving to OKEx V5 API #638

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177 changes: 173 additions & 4 deletions src/ExchangeSharp/API/Exchanges/OKGroup/ExchangeOKExAPI.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -11,17 +11,186 @@ The above copyright notice and this permission notice shall be included in all c
*/

using ExchangeSharp.OKGroup;
using Newtonsoft.Json.Linq;
using System;
using System.Collections.Generic;
using System.Threading.Tasks;

namespace ExchangeSharp
{
public sealed partial class ExchangeOKExAPI : OKGroupCommon
public sealed partial class ExchangeOKExAPI : OKGroupCommon
{
public override string BaseUrl { get; set; } = "https://www.okex.com/api/v1";
public override string BaseUrl { get; set; } = "https://www.okex.com/api/v1";
public override string BaseUrlV2 { get; set; } = "https://www.okex.com/v2/spot";
public override string BaseUrlV3 { get; set; } = "https://www.okex.com/api";
public override string BaseUrlWebSocket { get; set; } = "wss://real.okex.com:8443/ws/v3";
public override string BaseUrlWebSocket { get; set; } = "wss://real.okex.com:8443/ws/v3";
public string BaseUrlV5 { get; set; } = "https://okex.com/api/v5";
protected override bool IsFuturesAndSwapEnabled { get; } = true;

protected internal override async Task<IEnumerable<ExchangeMarket>> OnGetMarketSymbolsMetadataAsync()
{
/*
{
"code":"0",
"msg":"",
"data":[
{
"instType":"SWAP",
"instId":"LTC-USD-SWAP",
"uly":"LTC-USD",
"category":"1",
"baseCcy":"",
"quoteCcy":"",
"settleCcy":"LTC",
"ctVal":"10",
"ctMult":"1",
"ctValCcy":"USD",
"optType":"C",
"stk":"",
"listTime":"1597026383085",
"expTime":"1597026383085",
"lever":"10",
"tickSz":"0.01",
"lotSz":"1",
"minSz":"1",
"ctType":"linear",
"alias":"this_week",
"state":"live"
},
...
]
}
*/
List<ExchangeMarket> markets = new List<ExchangeMarket>();
parseMarketSymbolTokens(await MakeJsonRequestAsync<JToken>(
"/public/instruments?instType=SPOT", BaseUrlV5));
if (IsFuturesAndSwapEnabled)
{
parseMarketSymbolTokens(await MakeJsonRequestAsync<JToken>(
"/public/instruments?instType=FUTURES", BaseUrlV5));
parseMarketSymbolTokens(await MakeJsonRequestAsync<JToken>(
"/public/instruments?instType=SWAP", BaseUrlV5));
}
void parseMarketSymbolTokens(JToken allMarketSymbolTokens)
{
foreach (JToken marketSymbolToken in allMarketSymbolTokens)
{
var isSpot = marketSymbolToken["instType"].Value<string>() == "SPOT";
var baseCurrency = isSpot
? marketSymbolToken["baseCcy"].Value<string>()
: marketSymbolToken["settleCcy"].Value<string>();
var quoteCurrency = isSpot
? marketSymbolToken["quoteCcy"].Value<string>()
: marketSymbolToken["ctValCcy"].Value<string>();
var market = new ExchangeMarket
{
MarketSymbol = marketSymbolToken["instId"].Value<string>(),
IsActive = marketSymbolToken["state"].Value<string>() == "live",
QuoteCurrency = quoteCurrency,
BaseCurrency = baseCurrency,
PriceStepSize = marketSymbolToken["tickSz"].ConvertInvariant<decimal>(),
MinPrice = marketSymbolToken["tickSz"].ConvertInvariant<decimal>(), // assuming that this is also the min price since it isn't provided explicitly by the exchange
MinTradeSize = marketSymbolToken["minSz"].ConvertInvariant<decimal>(),
QuantityStepSize = marketSymbolToken["lotSz"].ConvertInvariant<decimal>(),
};
markets.Add(market);
}
}

return markets;
}

protected override async Task<ExchangeTicker> OnGetTickerAsync(string marketSymbol)
{
var tickerResponse = await MakeJsonRequestAsync<JToken>($"/market/ticker?instId={marketSymbol}", BaseUrlV5);
var symbol = tickerResponse["instId"].Value<string>();
return await ParseTickerV5Async(tickerResponse, symbol);
}

protected override async Task<IEnumerable<KeyValuePair<string, ExchangeTicker>>> OnGetTickersAsync()
{
List<KeyValuePair<string, ExchangeTicker>> tickers = new List<KeyValuePair<string, ExchangeTicker>>();
await parseData(await MakeJsonRequestAsync<JToken>("/market/tickers?instType=SPOT", BaseUrlV5));
if (IsFuturesAndSwapEnabled)
{
await parseData(await MakeJsonRequestAsync<JToken>("/market/tickers?instType=FUTURES", BaseUrlV5));
await parseData(await MakeJsonRequestAsync<JToken>("/market/tickers?instType=SWAP", BaseUrlV5));
}
async Task parseData(JToken tickerResponse)
{
/*{
"code":"0",
"msg":"",
"data":[
{
"instType":"SWAP",
"instId":"LTC-USD-SWAP",
"last":"9999.99",
"lastSz":"0.1",
"askPx":"9999.99",
"askSz":"11",
"bidPx":"8888.88",
"bidSz":"5",
"open24h":"9000",
"high24h":"10000",
"low24h":"8888.88",
"volCcy24h":"2222",
"vol24h":"2222",
"sodUtc0":"0.1",
"sodUtc8":"0.1",
"ts":"1597026383085"
},
...
]
}
*/

foreach (JToken t in tickerResponse)
{
var symbol = t["instId"].Value<string>();
ExchangeTicker ticker = await ParseTickerV5Async(t, symbol);
tickers.Add(new KeyValuePair<string, ExchangeTicker>(symbol, ticker));
}
}

return tickers;
}

protected override async Task<IEnumerable<ExchangeTrade>> OnGetRecentTradesAsync(string marketSymbol, int? limit)
{
limit = limit ?? 500;
marketSymbol = NormalizeMarketSymbol(marketSymbol);
List<ExchangeTrade> trades = new List<ExchangeTrade>();
var recentTradesResponse = await MakeJsonRequestAsync<JToken>($"/market/trades?instId={marketSymbol}&limit={limit}", BaseUrlV5);
foreach (var t in recentTradesResponse)
{
trades.Add(
t.ParseTrade(
amountKey: "sz",
priceKey: "px",
typeKey: "side",
timestampKey: "ts",
timestampType: TimestampType.UnixMilliseconds,
idKey: "tradeId"));
}

return trades;
}

private async Task<ExchangeTicker> ParseTickerV5Async(JToken t, string symbol)
{
return await this.ParseTickerAsync(
t,
symbol,
askKey: "askPx",
bidKey: "bidPx",
lastKey: "last",
baseVolumeKey: "vol24h",
quoteVolumeKey: "volCcy24h",
timestampKey: "ts",
timestampType: TimestampType.UnixMilliseconds);
}
}

public partial class ExchangeName { public const string OKEx = "OKEx"; }
}
}